Bibliografia
Principal
- Brownian motion and stochastic calculus:
Karatzas and S. Shreve
2000
Springer
- Numerical solution of stochastic differential equations:
P.E.Kloeden and E.Platen
1999
Springer
- Stochastic differential equations: an introduction with applications:
B. Oksendal
1995
Universitext, Springer
- The Mathematics of Financial Derivatives: A Student Introduction:
P. Wilmott, S. Howison, J. Dewynne
1995
Cambridge University Press
Secundária
- An algorithmic introduction to numerical simulation of stochastic differential equations:
D.J.Higham
2001
SIAM Review, 43, pp.525-546
- Numerical Solution of SDE Through Computer Experiments:
P.E. Kloeden, E. Platen and H. Schurz
2007
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- Stochastic numerics for mathematical physics:
G.N.Milstein and M.V. Tretyakov
2004
Springer
- Stochastic numerics for mathematical physics:
G.N.Milstein and M.V. Tretyakov
2004
Springer
- An introduction to numerical methods for stochastic differential equations:
E. Platen
1999
Acta Numerica, pp. 197-246